Yifan Chen (NYU)

Friday May 16, 2025, 11:00 AM → 12:00 PM America/New_York

3rd Floor Conference Room (162 Fifth Avenue )

Discussion Lead: Yifan Chen (NYU)

Topics: New affine invariant ensemble samplers and their dimensional scaling

Abstract: We introduce some new affine invariant ensemble samplers that are easy to construct and improve upon existing widely used algorithms, especially for high-dimensional problems. Specifically, we propose a derivative-free ensemble side move sampler that performs favorably compared to popular samplers in the \texttt{emcee} package. Additionally, we develop a class of derivative-based ensemble Hamiltonian Monte Carlo (HMC) samplers with affine invariance, which outperform standard HMC without affine invariance when sampling highly skewed distributions. We provide asymptotic scaling analysis for high-dimensional Gaussian targets to further elucidate the properties of these affine invariant ensemble